in this paper we consider the european continuous installment call option. then  its linear complementarity formulation is given. writing the resulted problem in variational form, we prove the existence and uniqueness of its weak solution. finally finite element method is applied to price the european continuous installment call option.

Merit function approach is a popular method to deal with complementarity problems, in which the complementarity problem is recast as an unconstrained minimization via merit function or complementarity function. In this paper, for the complementarity problem associated with p-order cone, which is a type of nonsymmetric cone complementarity problem, we show the readers how to construct merit func...

In this paper we consider some extensions of the Linear Complementarity Problem, which is one of the fundamental problems in mathematical programming. More specifically we consider the Linear Dynamic Complementarity Problem (LDCP), the Generalized Linear Complementarity Problem (GLCP) and the Extended Linear Complementarity Problem (ELCP). We show that the LDCP is a special case of the ELCP and...

‎A full Nesterov-Todd (NT) step infeasible interior-point algorithm‎ ‎is proposed for solving monotone linear complementarity problems‎ ‎over symmetric cones by using Euclidean Jordan algebra‎. ‎Two types of‎ ‎full NT-steps are used‎, ‎feasibility steps and centering steps‎. ‎The‎ ‎algorithm starts from strictly feasible iterates of a perturbed‎ ‎problem‎, ‎and, using the central path and feasi...

In this paper, we consider complementarity problem associated with circular cone, which is a type of nonsymmetric cone complementarity problem. The main purpose of this paper is to show the readers how to construct complementarity functions for such nonsymmetric cone complementarity problem, and propose a few merit functions for solving such a complementarity problem. In addition, we study the ...

In this article, we consider an unconstrained minimization formulation of the nonlinear complementarity problem NCP(f) when the underlying functions are H-differentiable but not necessarily locally Lipschitzian or directionally differentiable. We show how, under appropriate regularity conditions on an H-differential of f , minimizing the merit function corresponding to f leads to a solution of ...